Description

As from issue number 50, the Series of Economic Studies of the Central Bank of Chile will be called Studies in Economic Statistics.

The purpose of this document is to study the impact of inflation surprises in nominal and real benchmark bonds, and to compare these results with the response on the derivate market, Swap Promedio Cámara (SPC) both pesos and UF. This analysis is relevant because the prices of financial assets of the fixed income market have implicit future inflation expectations, therefore to quantify the impact of an inflation surprise on fixed income rates enables to evaluate market overreactions and possible changes in investment strategies of different market players involved in the fixed income market and its derivative.